SABR smile interpolation between discrete volatility points. More...

#include <sabrinterpolation.hpp>

Inheritance diagram for SABRInterpolation:

Collaboration diagram for SABRInterpolation:

Public Member Functions
template<class I1 , class I2 >
	SABRInterpolation (const I1 &xBegin, const I1 &xEnd, const I2 &yBegin, Time t, const Real &forward, Real alpha, Real beta, Real nu, Real rho, bool alphaIsFixed, bool betaIsFixed, bool nuIsFixed, bool rhoIsFixed, bool vegaWeighted=true, const ext::shared_ptr< EndCriteria > &endCriteria=ext::shared_ptr< EndCriteria >(), const ext::shared_ptr< OptimizationMethod > &optMethod=ext::shared_ptr< OptimizationMethod >(), const Real errorAccept=0.0020, const bool useMaxError=false, const Size maxGuesses=50, const Real shift=0.0, const VolatilityType volatilityType=VolatilityType::ShiftedLognormal)

Real	expiry () const

Real	forward () const

Real	alpha () const

Real	beta () const

Real	nu () const

Real	rho () const

Real	rmsError () const

Real	maxError () const

const std::vector< Real > &	interpolationWeights () const

EndCriteria::Type	endCriteria ()

Public Member Functions inherited from Interpolation
	Interpolation ()=default

	~Interpolation () override=default

bool	empty () const

Real	operator() (Real x, bool allowExtrapolation=false) const

Real	primitive (Real x, bool allowExtrapolation=false) const

Real	derivative (Real x, bool allowExtrapolation=false) const

Real	secondDerivative (Real x, bool allowExtrapolation=false) const

Real	xMin () const

Real	xMax () const

bool	isInRange (Real x) const

void	update ()

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Private Member Functions
const detail::XABRCoeffHolder< detail::SABRSpecs > &	coeffs () const

Additional Inherited Members
Protected Member Functions inherited from Interpolation
void	checkRange (Real x, bool extrapolate) const

Protected Attributes inherited from Interpolation
ext::shared_ptr< Impl >	impl_

Detailed Description

SABR smile interpolation between discrete volatility points.

Warning:: See the Interpolation class for information about the required lifetime of the underlying data.

Definition at line 150 of file sabrinterpolation.hpp.

Constructor & Destructor Documentation

◆ SABRInterpolation()

SABRInterpolation	(	const I1 &	xBegin,
		const I1 &	xEnd,
		const I2 &	yBegin,
		Time	t,
		const Real &	forward,
		Real	alpha,
		Real	beta,
		Real	nu,
		Real	rho,
		bool	alphaIsFixed,
		bool	betaIsFixed,
		bool	nuIsFixed,
		bool	rhoIsFixed,
		bool	vegaWeighted = `true`,
		const ext::shared_ptr< EndCriteria > &	endCriteria = `ext::shared_ptr<EndCriteria>()`,
		const ext::shared_ptr< OptimizationMethod > &	optMethod = `ext::shared_ptr<OptimizationMethod>()`,
		const Real	errorAccept = `0.0020`,
		const bool	useMaxError = `false`,
		const Size	maxGuesses = `50`,
		const Real	shift = `0.0`,
		const VolatilityType	volatilityType = `VolatilityType::ShiftedLognormal`
	)